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Political risk, investor attention and the Scottish Independence referendum

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  • Acker, Daniella
  • Duck, Nigel W.

Abstract

Using data relating to the Scottish Independence referendum and a purely market-driven method for estimating the sensitivity of stocks to its result we provide evidence that the political risk associated with the referendum was priced and that investors appeared to pay attention primarily to the most visible information about the likely referendum result.

Suggested Citation

  • Acker, Daniella & Duck, Nigel W., 2015. "Political risk, investor attention and the Scottish Independence referendum," Finance Research Letters, Elsevier, vol. 13(C), pages 163-171.
    • Handle: RePEc:eee:finlet:v:13:y:2015:i:c:p:163-171
    DOI: 10.1016/j.frl.2015.01.008
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    References listed on IDEAS

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    1. Wolfers, Justin & Zitzewitz, Eric, 2006. "Five Open Questions About Prediction Markets," CEPR Discussion Papers 5562, C.E.P.R. Discussion Papers.
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    Citations

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    Cited by:

    1. Julia Darby & Jun Gao & Siobhan Lucey & Sheng Zhu, 2019. "Is heightened political uncertainty priced in stock returns? Evidence from the 2014 Scottish independence referendum," Working Papers 1913, University of Strathclyde Business School, Department of Economics.
    2. Auld, T., 2022. "Betting and financial markets are cointegrated on election night," Cambridge Working Papers in Economics 2263, Faculty of Economics, University of Cambridge.
    3. Auld, T., 2022. "Political markets as equity price factors," Cambridge Working Papers in Economics 2264, Faculty of Economics, University of Cambridge.
    4. Hill, Paula & Korczak, Adriana & Korczak, Piotr, 2019. "Political uncertainty exposure of individual companies: The case of the Brexit referendum," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 58-76.

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    More about this item

    Keywords

    Pricing of risk; Investor inattention; Scottish referendum;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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